If you exercise in certain ways, then yes, going to the gym could make you skinnier. To gain muscle, see this answer.
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Dave LiepmannApr 21 '13 at 14:01

How's your diet currently? What workout program(s) are you looking at? Dave's link is to some good information.
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ChuckApr 21 '13 at 15:03

At this gym, are you going to be doing cardiovascular exercise, or weight lifting and strength training? Cardiovascular activities will tend to make you skinner, weight lifting and strength training will tend to make you bigger and stronger.
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DavidRApr 21 '13 at 20:56

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"Joining" a gym won't do anything but cost money ;) Working out at the gym could possibly make you lose weight, though. How exercise will effect you depends largely on the exercise and your diet. You'll need to add some more information about how you plan to work out for us to be able to give you a very good answer.
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Nathan Wheeler♦Apr 22 '13 at 16:00

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@NathanWheeler the gym owners are counting on people joining gyms.
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BigHomieApr 29 '13 at 16:05

3 Answers
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Eat

Don't buy into the 'hardgainer' non-sense.

Calories In > Calories Expended = Weight Gain

That's the simplest way I can put it. If you eat like a skinny person, you will gain weight like a skinny person (little to none). Proper nutrition is of course next but a little out of scope for this question. Suffice it to say that 1k-2k calories above what you burn during the day is a good start. To make it easier try drinking 1/2-1 gallon of milk per day and/or a small jar of peanut butter per day. Also, keep the sweet tooth in check.

Lift Heavy

There is a simple plan for lifting to get big: compound exercises, and actually lifting heavy. These are exercises that work multiple muscle groups at one time (think squat, deadlift, press), as opposed to isolation exercises that only concentrate, or isolate, one muscle or muscle group at a time (bicep curls, for example). Isolation exercises have their purpose, but not in this particular application.

When I say lift heavy, I don't mean go in and hurt yourself. I mean every time you lift, you should add a little more weight than you previously used when you did that workout. This is how you measure your strength progress. You don't have to try and keep up with the guy who's been lifting for 10 years.

You can join a gym that has free weights, or if you have the means and space, you can build your own 'gym' that has everything you need, and it would only cost about one year's membership at a typical gym where I am ($360-$600/yr on the low end).

For a practical application and more detail to this approach, there is a book called Starting Strength by Mark Rippetoe, who talks about this very thing.

You need to know that BMI is a poor indicator if you are not middle aged with a sedentary lifestyle.

BMI was developed as a tool to look at averages across a large population not as an individual assessment tool. Although, due its popularity has become a defacto tool used by many to do this, when it wasn't designed that way.

You have two options, you can either look at yourself in the mirror and think about how you feel about your body / fitness / strength and then set yourself some goals or get a proper fitness assessment done where you will be assessed on your fitness and strength as well as having your weight and body fat measured. This information will then be used to provide you with some goals and a sensible plan to reach those goals.

In regards to becoming skinnier, this largely depends on what you put in your mouth if you are exercising heavily. In the past three months I have gone from 72kg to 76kg and lost 6% body fat. I am not taking protein supplements. I am doing a huge amount of cardio and also two weight sessions per week. So this is offset by a large uptake in the amount of food I eat.

If you exercise and start losing body fat, you will build up some muscle, but if you are doing large amounts of cardio and no strength training or weights and you are not changing the way you are eating you may find you look skinnier.

If you decide to get someone to do your assessment mention to them that you want to put on weight and discuss with them the best way to do it. It takes a while to do, but with the right program and nutrition you can be heading in the right direction.

If you want to gain weight, then you can, but you can't do it halfway.

I was skinny all of my life, averaging 6 foot four and 170 pounds. About a year and a half ago, I went on Mark Rippetoe's plan (minus the gallon of milk a day).

Within nine months, I was deadlifting 300 from practically nothing, and benching 225.

My weight went from 170 to 205.

Two big caveats:

You will need some extra protein. I used Greek yogurt, or you can use supplements, but it has to come from somewhere.

Be very very careful about your form. Like, very careful. Shortly after I hit 300 dead lifting, I developed tendinitis in both quadriceps, which put me out of commission for about three or four months. Then, six months later I got a minor herniated disc in my lower back from bad form at the bottom of squats (whatever Mark says, don't take your low bar squats as low as he instructs, it's almost impossible to prevent rounding at below parallel). I've actually moved away from his program to a much safer one: 21 exercises for injury free mass